Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0401
Annualized Std Dev 0.2238
Annualized Sharpe (Rf=0%) -0.1791

Row

Daily Return Statistics

Close
Observations 4126.0000
NAs 1.0000
Minimum -0.2215
Quartile 1 -0.0039
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0046
Maximum 0.1584
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0141
Skewness -1.1431
Kurtosis 36.9882

Downside Risk

Close
Semi Deviation 0.0105
Gain Deviation 0.0110
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0148
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.8342
Historical VaR (95%) -0.0168
Historical ES (95%) -0.0353
Modified VaR (95%) -0.0170
Modified ES (95%) -0.0170
From Trough To Depth Length To Trough Recovery
2004-11-16 2009-03-09 NA -0.8342 4114 1084 NA
2004-10-29 2004-10-29 2004-11-10 -0.0025 9 1 8
2004-11-11 2004-11-11 2004-11-15 -0.0015 3 1 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA 0.1 0 0.3 0.4
2005 0.6 0.8 1 -0.1 -0.2 1.5 0.3 -0.5 0.1 -0.2 0.3 -1.1 2.5
2006 -0.1 -0.3 -0.6 0.1 -0.4 0.1 -0.1 1.1 0.4 0.2 0.2 0.5 1.1
2007 -0.3 -0.7 0.6 0.4 -0.1 0.2 -3.3 1.8 0.9 -0.3 0.8 1.6 1.5
2008 0.4 -1.7 2.5 1 -1 -0.1 0.7 -0.1 2.1 3.7 -4.7 1.3 4.1
2009 2.8 -5.9 4.3 0.4 2.4 -0.1 1.3 -2.1 -2.6 -6.3 -0.4 -0.8 -7.4
2010 -0.5 0 -0.2 -2.7 0.1 1.8 -0.3 0 1 -0.2 0.5 0.6 0
2011 1.2 -0.1 0.7 0.4 0.2 0.6 2.3 0 -0.9 -1.5 0 0 3
2012 0.6 0.3 0.2 0.1 -1.5 0.6 2.6 0.4 0.4 0.9 0 0.2 4.8
2013 0 0.4 -0.1 0.8 -3.2 1 -1.8 -0.7 0 -0.4 0.5 0.4 -3.2
2014 -0.3 0.2 -0.7 -0.7 0.4 -0.2 0.7 0.8 0.2 0.7 -0.6 -1.3 -0.8
2015 0.5 0 0.6 0 0.5 0 0.1 -0.4 -0.5 0.5 0.1 -1.3 0.1
2016 0.6 0.5 0.2 0 0 0.3 -0.9 0.1 1 -0.3 -0.4 1.3 2.4
2017 0.4 0.2 0 0.4 0.8 0.1 -1.2 0.4 0.8 0.2 1.2 0.6 3.7
2018 -0.1 -0.1 0.3 -0.3 0.2 -1 0.4 -0.2 0.4 1 0.2 -1 -0.3
2019 0.3 -0.1 0.3 -0.6 -1.8 0.2 0.1 0 0.4 0.1 0.2 0.1 -0.9
2020 0.1 -1.4 -7.7 -2.8 0.5 1 0 0.8 0.9 -0.1 1 0.2 -7.6
2021 0.7 1.2 -0.2 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2004-10-27  20.0 SPY    113.  0.012    0.0214  0.0144    0.0209   0.0893   0.0209   -0.125 <NA>     NA    NA       NA
2 2004-10-28  20.0 SPY    113.  0.003    0.0178  0.0123    0.0215   0.0779   0.0263   -0.130 <NA>     NA    NA       NA
3 2004-10-29  20   SPY    113. -0.0002   0.0292  0.0129    0.0192   0.0763   0.0535   -0.125 <NA>     NA    NA       NA
4 2004-11-01  20.0 SPY    114.  0.0027   0.0332 -0.00120   0.0299   0.0769   0.0692   -0.112 <NA>     NA    NA       NA
5 2004-11-02  20.0 SPY    114.  0.0004   0.018  -0.0025    0.0304   0.0783   0.0733   -0.127 <NA>     NA    NA       NA
6 2004-11-03  20.0 SPY    115.  0.0126   0.0186  0.0095    0.0607   0.0848   0.0596   -0.146 <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart